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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 25: Poster session

SOE 25.7: Poster

Donnerstag, 14. März 2013, 17:15–19:00, Poster C

Correlations of optimized stocks portfolios in different market phases — •Alexander Eckrot¹, Jan Jurczyk¹, Johannes Schneider², and Ingo Morgenstern¹ — ¹Uni Regensburg, Regensburg, Germany — ²Uni Mainz, Mainz, Germany

We investigate the correlations of optimized stocks portfolios in different market phases. These portfolios were created by means of Johannes Schneider's algorithm, maximizing the return and minimizing the risk. The correlations of the stocks portfolios are analyzed using methods of the Random Matrix Theory. We divide the data into three different market phases: A stable market around 2005, before the financial crisis. The climax of the crash at 2008. And this financial crisis' aftermath, we are facing in the very recent years.